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ArticleSubjective mean–variance preferences without expected utility

Xiangyu Qu2017

Article2017

Subjective mean–variance preferences without expected utility

6 citations·0/0 files stored·Mathematical Social Sciences

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Decision-Making and Behavioral Economics Experimental Behavioral Economics Studies Risk and Portfolio Optimization

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1952PORTFOLIO SELECTION*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1959Portfolio Selection: Efficient Diversification of Investments

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Year2017

Typearticle

Published2017-02-11

VenueMathematical Social Sciences

ISSN-L0165-4896

Languageen

Citations6

Files0 public / 0

ShelfDecision-Making and Behavioral Economics

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doi10.1016/j.mathsocsci.2017.02.001

openalex_workW2586587952

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2018Simultaneous Decisions Under Risk: An Experimental Investigation